On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Import241208061232 (talk | contribs)
Normalize DOI.
 
(3 intermediate revisions by 3 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.spa.2014.09.016 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.spa.2014.09.016 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2080536673 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for sums of linearly generated random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Break detection in the covariance structure of multivariate time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional convergence of linear processes with heavy-tailed innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable limits for sums of dependent infinite variance random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regular variation of GARCH processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A functional limit theorem for dependent sequences with infinite variance stable limits / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularly varying multivariate time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local polynomial estimation with a FARIMA-GARCH error process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5560061 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5525727 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series: theory and methods. / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3057785 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Point process and partial sum convergence for weakly dependent random variables with infinite variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: The sample autocorrelations of heavy-tailed processes with applications to ARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theory for moving averages of random variables with regularly varying tail probabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theory for the sample covariance and correlation functions of moving averages / rank
 
Normal rank
Property / cites work
 
Property / cites work: Association of Random Variables, with Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH-type bilinear models with double long memory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Implicit renewal theory and tails of solutions of random equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A functional central limit theorem for weakly dependent sequences of random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sample autocovariances of long-memory time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional differencing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subsampling inference for the mean of heavy-tailed long-memory time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: A non-Skorokhod topology on the Skorokhod space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted sums of i.i.d. random variables attracted to integrals of stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for point processes and their functionals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random difference equations and renewal theory for products of random matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional ARIMA with stable innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional convergence to stable Lévy motions for iterated random Lipschitz mappings / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long‐Memory Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4301585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Covariances Estimation for Long-Memory Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On linear processes with dependent innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.SPA.2014.09.016 / rank
 
Normal rank

Latest revision as of 03:43, 19 December 2024

scientific article
Language Label Description Also known as
English
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
scientific article

    Statements

    On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (English)
    0 references
    0 references
    0 references
    0 references
    30 January 2015
    0 references
    functional limits
    0 references
    linear processes
    0 references
    GARCH(1,1) noises
    0 references
    short memory
    0 references
    long memory
    0 references
    \(\alpha\)-stable processes
    0 references
    Brownian motions
    0 references
    Rosenblatt process
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references